Thálfi doesn't like the well in the centre of the Chamber of the Cross-roads, and is worried that the Orcs might climb through it if the sentries are not alert.
'I do not like that well. I looked down it and couldn't see the bottom, but I'm pretty sure there's water down there. It makes me nervous.
'What if the Orcs find the bottom of the well and try climbing up? They could use it to get into this room without the sentries noticing! I don't need to tell you what a disaster that would be.
'I'd feel better if you could find the bottom of the well and make sure there's no way for the Orcs to climb up into this chamber. Melmar went looking for it, but I never heard back from him. I don't know how you'll get to the bottom safely, but you should find a way down to the Water-works and then look for Narag-kheleb, the bottom of the well. I expect you will find it south-west of the mighty aqueduct in the depths. Don't jump down the well itself, though, unless you think you could fall for uncounted fathoms and land alive on your feet.'
The bottom of the well is likely somewhere in the Water-works, in the depths of Moria, south-west of the mighty aqueduct. The dwarf Melmar may be somewhere near the bottom.
Thálfi is worried that the Orcs might climb up from the bottom of the well, and wants you to investigate to make sure that's not possible.
Thálfi is in the Chamber of the Cross-roads at the southern entrance to Durin's Way, north of the Great Delving.
You found the bottom of the well but discovered it to be well-protected, and should return now to Thálfi.